Spread Option Pricing Under the Vasicek Model
- 주제(키워드) mathematics
- 발행기관 Graduate School of Sogang University
- 지도교수 이재성
- 발행년도 2019
- 학위수여년월 2019. 2
- 학위명 석사
- 학과 및 전공 일반대학원 수학과
- 실제URI http://www.dcollection.net/handler/sogang/000000063787
- UCI I804:11029-000000063787
- 본문언어 영어
- 저작권 서강대학교 논문은 저작권보호를 받습니다.
초록/요약
In this thesis, we consider the pricing of stock, bond, and inter- est rate spread options. We will assume that the stock and bond prices follow a log-normal distribution; we also assume that the inter- est rates follow the Vasicek model and, thus, are normally distributed. For stocks and bonds we will approximate using the Kirk formula in order to write it in closed form. The interest rate spread option will be calculated via the Black-Scholes formula for an arithmetic Brow- nian motion (ABM). Finally, we consider interest rate cap and floor valuations as ABMs and European bond options.
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